Consider a single factor APT. Portfolio A has a beta of 1.2 and an expected return of 14%. Portfolio B has a beta of 0.7 and an expected return 9 %. The risk-free rate of return is 5%. If you____$1000 of portfolio B, you arbitrage profit is _____

A. no arbitrage

b. invest (long position); $1227

c. short; $14

d. short; $12.5

I hope to have a detail solution about this question. The answer is short: $12.5